Open a link in a Lightbox/Thickbox

The only way is to use Lightbox2 or any similar modules.
Link allows to open a link in a new window, but that is different from opening it in a pop up window.

I guess you mean Link not Lightbox.
As in the initial post there were just questions (and the title was a question too), the report was more a support request than a feature request.

It would be nice if the module would have an option to open a link in a pop up window too.

This would be proabably best done with integration with the Thickbox module or similar.

There's already a checkbox for "Open in new window".

It's true, but that is different from a pop up window.
A pop up window is usually open from JavaScript, and it doesn't have the full size of a browser window (and it doesn't have a toolbar, or an address bar); differently, a new window is normally created by using a tag like <a href="http://example.com" target="_blank">.

Ah, right. Then I'd suggest you add JavaScript to the page to make it open only certain links in popups. You can use the target attribute as a guide.

<script>
$(document).ready(function() {
  $('a[target=_blank]').click(function() {
    window.open(this.href, 'popup', 'toolbar=0,scrollbars=0,location=0,statusbar=0,menubar=0,resizable=1,width=300,height=600');");
    return false;
  });
});
<script>

I'd prefer to leave this functionality out of link.module, since it's a lot of unnecessary configuration (see all those options in the JS above) for those just wanting to make links.

I was just trying to help wallbay1 to express what he wanted.
First, he asked a question about how to open a link handled by Link; then (after he found a module to do that) he said it would be good if Link would offer a pop up function too.

I agree with the maintainer that such functionality should not included in Link, as there are already many modules that allow a link to be opened in a pop up window; they can operate on all the links present in a page, not only on links created from this module.
The feature would create a not necessary duplication of code; the module offers the possibility to change an attribute for the link being created, and this is enough for the other modules to handle the links created from this module in a particular way.

I would rather set this report to won't fix.

Yep, it's out of scope for link.module. I'll mark this as a fixed support request.